Particle System, want to emit a particle AND a lamp
After a short experiment I have been able to get a lamp to appear as part of a particle by using the Group option in the Render section and activate the Whole Group checkbox.  Since the mesh and lamp are both part of the group I created they are both instantiated for every particle.

Probably the biggest gotcha is to set the Size property underneath the Whole Group checkbox to something reasonable (it defaults to rather tiny).